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Quantitative finance and risk management : a physicist's approach / Jan W. Dash.
Author
Dash, Jan W.
[Browse]
Format
Book
Language
English
Εdition
2nd edition.
Published/Created
New Jersey : World Scientific, [2016]
Description
xxi, 986 pages : illustrations ; 24 cm
Availability
Copies in the Library
Location
Call Number
Status
Location Service
Notes
Lewis Library - Stacks
HG106 .D37 2016
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Details
Subject(s)
Finance
—
Mathematical models
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Risk management
—
Mathematical models
[Browse]
Summary note
"Written by a physicist with extensive experience as a quant on Wall Street, this book treats a wide variety of topics. Presenting the theory and practice of quantitative finance and risk, it delves into the "how to" and "what it's like" aspects not covered in textbooks or research papers. A "Technical Index" indicates the mathematical level for each chapter. This second edition includes some new, expanded, and wide-ranging considerations for risk management: climate change and its long-term systemic financial risk; markets in crisis -- new crisis prediction technique and the Reggeon field theory; new "Smart Monte Carlo" and American Monte Carlo; trend risk -- time scales and risk, the Macro-Micro model, and singular spectrum analysis; credit risk: counterparty risk, wrong way risk, issuer risk, and regulations; stressed correlations -- new "nearest neighbor" techniques; and psychology and option models. Solid risk management topics from the first edition and valid today are included: standard/advanced theory and practice in fixed income, equities, and FX; quantitative finance and risk management -- traditional/exotic derivatives, fat tails, stressed VAR, model risk, numerical techniques, deals/portfolios, systems, data, economic capital, and function toolkit; risk lab -- the nuts and bolts of risk management from the desk to the enterprise; case studies of deals; Feynman path integrals, Green functions, and options; and "Life as a Quant"--Communication issues, sociology, stories, and advice."--Publisher's description.
Bibliographic references
Includes bibliographical references and index.
Contents
Part l: Introduction, overview, and exercise
Part II. Risk lab
Part III. Exotics, deals, and case studies
Part IV. Quantitative risk management
Part V. Path integrals, green functions, and options
Part VI. The macro-micro model
Part VII. Climate change risk management.
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Other editions
Revision of: Dash, Jan W. Quantitative finance and risk management. River Edge, NJ : World Scientific Pub., ©2004
ISBN
9789814571234 ((hbk.))
9814571237 ((hbk.))
LCCN
2015038646
OCLC
927141282
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